All Questions
Tagged with limits-and-convergence pr.probability
184 questions
1
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1
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157
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Is finding the CDF from the Laplace transform well-posed?
In my study of Dynamic Light Scattering, I came across the following inverse problem. Let $F(s):[0,T]\rightarrow[0,T]$ be the Laplace transform of a probability distribution $f(t)$ on the real line ...
- 654
-1
votes
1
answer
80
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Seating assignment inspired question
Motivation. Recently I stayed at a hotel which had the curious custom to ask their $n$ parties (group of guests, most parties a married couple) which of the $n$ tables they wanted to take. Of course ...
- 48.9k
16
votes
0
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309
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Randomized Pascal's triangle: What is the average of all the numbers?
This question was posted on MSE. It received some interesting responses, but no definite answer.
Let's build a variation of Pascal's triangle. We write $1$'s going down the sides, as usual. Then for ...
- 3,527
0
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0
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134
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Asymptotics of a ratio on the unit sphere
Let $(a_n)_{n \geq 1}$ be a nonnegative, strictly decreasing sequence with $a_n \to 0$ as $n \to \infty$.
Consider the ratio (for $k \geq n$)
$$
R_{n, k} = \mathbb{E}_{u \sim \text{Unif}(\mathbb{S}^{k-...
- 420
1
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0
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55
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Limit process of a sequence of Gaussian variables on mesh grid going to zero
Consider the interval $[0,1]$ and a partition $\mathscr{P}_n = \{ [t_i,t_{i+1}), \, i=1,\ldots,N_n \, : \, 0=t_0 < \ldots < t_{N_n} = 1\}$. Suppose that for all $i$ and $t \in [t_i,t_{i+1})$, we ...
- 141
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1
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103
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Convergence in $\mathbb{L}_1$ implies convergence "perturbed" conditional expectations
Consider a sequence of conditional pdf's $p_n(y | x)$ on a Polish space $X \times Y$, endowed with its Borel sigma algebra. Suppose, as $n\rightarrow \infty$, in $\mathbb{L}_1$ (the following ...
- 141
2
votes
1
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131
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Almost sure convergence of double averages of IID random variables
Let $ \{X_i\}_{i=1}^{P} $ and $ \{Y_j\}_{j=1}^{Q} $ be two sequences of independent and identically distributed (i.i.d.) random variables. $X_i$ and $Y_j$ are independent between all pairs of $i$ and $...
- 433
1
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1
answer
114
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Convergence in probability of sample covariance for permutation invariant triangular arrays
Take two triangular arrays $X_{N,i}$ and $Y_{N,i}$ of random variables where $1 \le i \le N$. Suppose that the families $\{X_{N,i}\}$ and $\{Y_{N,i}\}$ are independent, and that the following ...
- 1,124
1
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36
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Uniform distribution as argument for copula likelihood
I am reading a well-known paper about copulas by Chen and Fan (2006). Specifically, Proposition 4.2 (see attached), in which all the arguments are uniform $U_{t-1}, U_t$. However, when the copula is ...
- 33
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41
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Formalization of sample convergence
Let's say I have a sample of $X_1, \dots, X_n$, where I know that $X_i$ were generated by some ARCH(1) process. It means that
$$X_i = \sigma_i z_i,$$
where $z_i \stackrel{iid}{\sim} N(0, 1)$ and $\...
- 33
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0
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76
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Convergence of probabilities imply convergence of joint probability
Context: Suppose I have two pairs of sequences of random variables $X_n, \tilde{X}_n$ and $Y_n, \tilde{Y}_n$, where $X_n$ and $Y_n$ are not necessarily independent for any $n$, but $\tilde{X}_n$ and $\...
- 33
1
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2
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498
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Show convergence result
Consider the following sets:
$$
A = \Big\{ x\in X: \Pr\bigg(\lim_{n \to \infty}d\big(p_n, [\ell(x), u(x) ] \big)= 0\bigg)=1 \Big\},
$$
and
$$
A_n = \Big\{ x\in X: d\big(p_n, [\ell(x), u(x) ] \big)...
- 108
7
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1
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556
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A variation on the Borel–Cantelli lemma theme
Let $X,X_0,X_1,\dots$ be nonnegative independent identically distributed (i.i.d.) random variables. Let
\begin{equation*}
E:=\bigcap_{n\ge0}B_n,
\end{equation*}
where
\begin{equation*}
B_n:=\...
- 128k
2
votes
2
answers
328
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Existence of the limit of periodic measures
Let $T: X \to X$ be a continuous map over a compact metric space. We say that a measure $\mu$ is $T$-invariant if $T_{\ast} \mu= \mu$. We denote by $M(X, T)$ the space of all $T$-invariant Borel ...
- 1,043
27
votes
5
answers
3k
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How to show a function converges to 1
Consider the following recurrence relation in two variables:
$$f(a, b) = \frac{a}{a+b} f(a-1,b)+ \frac{b}{a+b}f(a+1,b-1) $$
for positive integers $a$ and $b$,
with the boundary conditions $f(0,b)=0$ ...
- 3,377
3
votes
2
answers
387
views
Definition of weak conditional convergence of random variables
I am looking for a definition of conditional convergence. Suppose that $X_1, X_2, \dots, X_n$ are $\mathbb R$-valued random variables with finite second moments, and $W_1, W_2, \dots, W_n$ are iid $\...
- 103
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184
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Question about $n$ random points in a regular polygon, and a limiting probability
Suppose we choose $n$ uniformly random points in a disk, then draw the smallest circle that encloses all of those points. There is evidence suggesting that the probability that the enclosing circle is ...
- 3,527
0
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1
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108
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Functional CLT with an asymptotically small time change
This question was posted to MathSE but it seems like MathOverflow might be the more appropriate place for it.
Suppose I know that $(\frac{1}{\sqrt{m}}X(mt))_{0\leq t\leq 1}\xrightarrow[m\to\infty]{\...
- 177
1
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0
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170
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Asymptotic distribution of L infinity norm of Gaussian random vector
Let $\mathbf{X}_n = (X_{n,1}, \ldots, X_{n,n})$ be a $n$-dimensional random vector with $N_n( \mathbf{0}_n, \boldsymbol{\Sigma}_n )$ distribution. The asymptotic distribution of the $L_\infty$-norm of ...
- 119
3
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1
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561
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On the convergence in total variation
$\newcommand\R{\mathbb R}$For a probability measure $\mu$ over $\R^2$ and a unit vector $u\in\R^2$, let $\mu^u$ denote the pushforward of $\mu$ under the projection map $\R^2\ni x\mapsto u\cdot x\in\R$...
- 128k
2
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1
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74
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Conditions for absorption
Let $X$ be a Markov chain with countable state space $S$ and transition kernel $P$, and let $h \colon S \to [0,1]$ be a sub-harmonic or super-harmonic function. Assume that for all $\varepsilon >0$ ...
user514580
0
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1
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450
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A complex question related to a certain convergence of Lévy measures
Consider the sequence of stochastic processes $(X_n, n \geq 1)$, where $X_n = (X_{t;n})_{t\in \mathbb Z}$ and:
\begin{equation}\label{I}\tag{SP}
X_{t;n} = \sum_{j=0}^\infty \theta_{jn} \varepsilon_{t-...
- 13
4
votes
1
answer
205
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Show that $\frac{1}{2 \pi i} \oint_{\mathbb{S}^1} \frac{1-\hat{f}(\xi)}{1-\xi}\cdot \frac{\mathrm{d} \xi}{\xi^{n+1}} \to 0$ as $n \to \infty$
Let $f = (f_0,f_1,\ldots,f_n,\ldots) \in \mathcal{P}(\mathbb N)$ be a probability distribution on $\mathbb N$ and denote by $$\hat{f}(z) = \sum_{n\geq 0} z^n f_n$$ for its probability generating ...
- 730
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1
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190
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Quantitative version of ergodic theorem in Markov chains
Consider an irreducible Markov chain $X_t$ with finite state space $E$, and unique invariant measure $\pi$. Fix a function $V:E\to\mathbb R$ such that $E_\pi[V]=0$. The ergodic theorem tells us that, ...
- 59
2
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2
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297
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Convergence of the row sums in a triangular null array with zero mean
Let $(X_{jn})_{1\leq j \leq n}$, $n\in \mathbb N$, be a triangular array of random vectors in $\mathbb R^d$ (the $X_{jn}$ are understood to be independent in $j$ for fixed $n$.). We say that the ...
- 13
1
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2
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355
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Reference request and clarification for Central Limit Theorem for complex random variables
I'm looking for a reference and a proof of the following version (or eventually a more general version) of the Central Limit Theorem for complex random variables.
Theorem. Let $Z_1, Z_2, \dots, Z_n$ ...
- 361
1
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0
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82
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Central limit theorem with limit of functions
Suppose that
$$\sqrt{n}(X_n - \theta)\xrightarrow{d} X,$$
according to the delta method, we have
$$\sqrt{n}(g(X_n)-g(X))\xrightarrow{d} g'(\theta)X$$
when $g$ is differentiable.
My question is, if
$$\...
- 11
1
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0
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57
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Convergence of stochastic linear recurrences
Suppose that $\zeta_t$ is a univariate, stationary stochastic process ($t\in\mathbb{N}^+$).
Let $x_0\in\mathbb{R}^n$, and let $f:\mathbb{R}\rightarrow\mathbb{R}^{n\times n}$ be a continuously ...
- 183
2
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1
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184
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A question about convergence of stochastic processes converging to a random walk
Consider the following random walk $(y_t)_{t \in \mathbb Z_+}$:
$$y_t = y_{t-1} + u_t,\quad (u_t)_{t \in \mathbb Z_+} \overset{iid}{\sim} N(0,1), \quad (t \in \mathbb Z_+)$$
where $y_0, u_1, u_2,...$ ...
- 13
1
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1
answer
253
views
convergence for series of random variables
Suppose $X_n\sim N(0,1) $ is iid, then it is easy to see that
$$\sum_{n=1}^{\infty}\frac{X_n}{n}\cos nx$$
converges a.s. for any $x$ since
$$\sum_{n=1}^{\infty}var(\frac{X_n}{n}\cos nx)<\infty$$
...
- 125
6
votes
2
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774
views
Probability of winning game whereby $T+1$ heads in a row of a coin flip is required to win where $T$ is the number of cumulative tails flipped
I have a weird question which probably seems out of place here but it has proven more difficult than anticipated. I am going to describe the game without showing work toward a solution. Numerically, ...
user504691
0
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1
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197
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Bound the expectation of an average
Let $(a_n)_{n \geq 1}$ be random variables taking values on a finite subset $B$. Assume that $\nu_l(b) \le P[a_n = b\mid a_1,\ldots,a_{n-1}] \le \nu_u(b)$ almost surely for every $n \ge 1$ and $b \in ...
- 108
1
vote
1
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156
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How to show that $\int x \,d\nu = 0$ using a pseudo-weak convergence of measures?
I have a sequence of $p$-dimensional infinitely divisible random vectors $S_n'$, such that $S_n' \Longrightarrow X$, as $n \to \infty$.
Suppose the following assumptions
The characteristic functions ...
- 13
4
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1
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2k
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Examples of convergence in distribution not implying convergence in moments
It is well know that the convergence in distributions does not necessarily imply convergence in expectation, but implies convergence in expectation of bounded continuous functions.
Let $\{X_n\}$ be a ...
- 227
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201
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Infinite limit of sums of gamma functions is constant?
The following expression arises in the study of hierarchical models. I suspect that the sum of the underlined $4$ terms become constant as $\alpha\rightarrow \infty$. Mathematica agrees when prompted ...
- 111
1
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1
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195
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CDF of sum of independent cosines?
Consider the random variable
$$X=\frac{1}{d}\sum_{k=1}^d\cos X_k$$
where $X_k$ are each drawn uniformly i.i.d. from $[0,2\pi]$. What is the CDF of X?
It seems that a relatively direct way could be to ...
- 465
2
votes
1
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224
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Approximate size of the image of functions $f:[n]\to[n]$ [closed]
The following is inspired from the most recent riddle of the week of the German news magazine Der Spiegel.
For any positive integer $n\in\mathbb{N}$, let $[n]$ denote the set $\{1,\ldots,n\}$. Let $...
- 48.9k
1
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1
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233
views
Hypothesis to guarantee Lindeberg's condition
Imagine to have a set of random variables $\{ X_i \}_{i=1}^{n}$ independent (Non identically distributed). In these scenario, if the Lindeberg's condition hold we can extend the result of the CLT, i.e....
- 305
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votes
1
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72
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Exceedance distribution of Levy process
Consider a Levy process $L(t)$ with linear drift $-1$, no Brownian motion component, and Poisson jumps at rate 2 with size Uniform($0, 1$), and with $L(0)=0$. This process has zero mean drift.
Let $\...
- 294
3
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2
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505
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Precise asymptotics for moments of order statistics of normal distribution
Let $X_1, \cdots, X_n \sim N(0,1)$ be i.i.d. normal random variates. I am interested in understanding the first two moments of the quasi-range $X_{(n)}-X_{(n-1)}$ (i.e., the maximum value minus the ...
- 151
1
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2
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169
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Asymptotic properties of weighted random walks / infinite convolutions of random variables
Let $(X_n)_{n\in\mathbb{N}}$ be a sequence of i.i.d. real-random variables. Let further $0<c<1$. I'm interested in the asymptotic properties of
$$
\sum_{k=1}^n c^k X_k.
$$
I can prove that this ...
2
votes
1
answer
351
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Lower bound on sum of independent heavy-tailed random variables
I have a sum of $n$ i.i.d random variables $X_i$ such that $E[X_i] = 0$,$\mathrm{E}[|X_i|^{1 + \delta}]$ exists for some $0 < \delta < 1$ but $\mathrm{E}[|X_i|^{1 + \delta+ \epsilon}]$ does not ...
- 23
0
votes
1
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169
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Understanding the approximation of a random sum of random processes
I want to understand an approximation of a compound Poisson distribution in this paper.
First, let's set the environment. Consider $\mathcal{P}$ the class of distributions of real-valued and strictly ...
- 135
0
votes
1
answer
159
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Approximation of a random sum of random variables (infinitely divisible distribution) by a triangular array
We know that a Poisson distribution can be approximated by a binomial distribution. More exactly, let $(X_{jn})_{1\leq j \leq n}$ be a i.i.d. triangular array such that
$$P[X_{jn}= 1 ] = p_n = 1- P[X_{...
- 135
3
votes
1
answer
396
views
A convergence problem
I have a math/stat problem where I need to show the convergence of the average of a sequence of experiments to an interval. The sequence of experiments is not i.i.d., hence the standard law of large ...
- 108
2
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0
answers
150
views
A version of Portmanteau theorem where $(\mu_n)_{n\in \mathbb N}$ is replaced by a net $(\mu_d)_{d\in D}$
Let $(E, d)$ be a metric space, $\mathcal C_b(E)$ the space of all real-valued bounded continuous functions on $E$, and $\mathcal P(E)$ the space of all Borel probability measures on $E$. For $f \in \...
- 657
1
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0
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96
views
Limit of alternating sum of factorial moments which diverge
Consider the non-negative, integer valued random variable $X$, and its $i^{\text{th}}$ factorial moment $E_{i}[X]$. Then we have that
$$
P(X=0) = \sum _{i=0}^{\infty} \frac{(-1)^i E_{r}[X]}{ i!}
$$
...
- 640
2
votes
1
answer
268
views
Convergence in probability of a supremum
Let $A>0$ be fixed and consider $X_1,\ldots$ i.i.d. nonnegative random variables such that $E[1/X_1]<\infty$.
Is is true that $$\sup_{a\in \big (0,\frac A{\sqrt n} \big]} \sum_{i=1}^n 1_{X_i>...
- 123
4
votes
2
answers
349
views
Does the average of correlated Gaussian random variables with mean zero and different variances converge in probability to their mean?
Let $X_i\sim N(0,\sigma_i^2)$ and $\operatorname{Corr}(X_i,X_j)>0$. Is it possible to show that $$\frac{1}{N} \sum_{i=1}^N X_i \overset{p}\rightarrow E[X_i]=0.$$ Do you have a reference to a law of ...
0
votes
2
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182
views
Show that the set of strictly stationary, mean zero and finite variance stochastic processes is closed (or not)
Let $\mathcal{P}$ be the set of real-valued and strictly stationary processes with expectation zero and finite variance, i.e.:
\begin{equation}
\mathcal{P}:=\left\{ X = (X_t)_{t \in \mathbb{Z}} \, ...
- 135